7. COINTEGRATION ECONOMETRICS DETAILED EXPLANATION|DEFINITION AND TESTING|EXAM IMPORTANT PREPARATION

#TimeSeries #EngleGrangerTest #ErrorCorrectionMethod #Consequences #Definition #CLRM #Residual #Error #Hypothesis #Econometrics #Detailedexplanation #Exam #ImportantConcept #EcoOptional #ISI #DSE #JNU #IGIDR #MSE #CU #PU #DU
Cointegration is a statistical property of a collection (X1, X2, ..., Xk) of time series variables. First, all of the series must be integrated of order d. Next, if a linear combination of this collection is integrated of order less than d, then the collection is said to be co-integrated. Formally, if (X,Y,Z) are each integrated of order d, and there exist coefficients a,b,c such that aX + bY + cZ is integrated of order less than d, then X, Y, and Z are cointegrated. Cointegration has become an important property in contemporary time series analysis. Time series often have trends-either deterministic or stochastic. In an influential paper, Charles Nelson and Charles Plosser (1982) provided statistical evidence that many US macroeconomic time series (like GNP, wages, employment, etc.) have stochastic trends.
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[@ratty38]

Thank you. A little dense (technical) but very clear.

[@tyagarajkurabett9532]

Thank you very much...for helping to my PG Economic exam...

[@aniketbhattacharya9256]

Well explained...Great going

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[@GarimaGupta]

Great job

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[@zak26khan]

well explained....make more videos on econometrics

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[@user-md1ed5bg6g]

Thanks mam

[@garimamalhotra906]

It is very helpful mam...pls make more vdos👏👏👏👍
Well explained😊

[@garimamalhotra906]

Mam also upload vdos on VAR model,ARDL Model,ARMA ,ARIMA,ANCOVA ,MANCOVA
asap

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[@Eren10combr]

What happens if the order of integrations of the yt and xt are 0 for both? That is, what will happen if yt and xt are stationary? In that condition, can we state that there is no cointegrating relationship between them? Thank you in advance.

[@domingosnhamussua3070]

we test for cointegration because of the possibility of spurious regression when the variables are non-stationary, when both are I(0) there's no possibility of a spurious regression.

[@Eren10combr]

Thanks.

[@chamildanushkakumaraekanay2931]

A very good explanation

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